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Required task: Use the above procedure, called Bootstrapping to complete Table 2 below for maturities 2 and 3 (see question marks, ?) . (Note: I

  • Required task: Use the above procedure, called Bootstrapping to complete Table 2 below for maturities 2 and 3 (see question marks, ?).

(Note: I provided the answers for maturity 1, for illustration. However, you should show your work, i.e., show the steps you followed to reach the answers, including your work to verify the answers already provided).

Table 2: Implied Zeroes and Spot Rates. (Answers for maturity 1 are already given to you for illustration. This will not count in your grade.)

Maturity (Years) Implied Zero (zi) Spot Rate (yi)

1

z1 = 0.9476

y1 = 5.53%

2

z2 = ?

y2 = ?

3

z3 = ?

Y3 = ?

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